Search Results - subject:"threshold cointegration"

World and Bangladesh Rice Market Integration: An Application of Threshold Cointegration and Threshold Vector Error Correction Model (TVECM)

Alam, Mohammad Jahangir; Begum, Ismat Ara - Agricultural Economics Society - AES - 2012

rice markets to be integrated. We used a threshold cointegration and threshold vector error correction model (TVECM) of …

Persistent link: https://www.econbiz.de/10010913604

Purchasing Power Parity in African Countries: Further Evidence based on the ADL Test for Threshold Cointegration

Chang, Tsangyao; Lee, Chia-hao; Pan, Guochen - In: Economics Bulletin 32 (2012) 1, pp. 220-228

In this study, we applied a newly-developed Autoregressive Distributed Lag (ADL) test for threshold cointegration …

Persistent link: https://www.econbiz.de/10009421766

Cointegration between carbon spot and futures prices : from linear to nonlinear modeling.

Chevallier, Julien - Université Paris-Dauphine - 2012

This paper develops two nonlinear cointegration models - a VECM with structural shift and a threshold cointegration … threshold cointegration models. We find strong error-correction effects for the carbon futures price. Asymmetry is implied in …

Persistent link: https://www.econbiz.de/10009493416

Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis

Yildirim, Dilem - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2012

This paper aims to investigate the actual nature of the interest rate pass-through to Turkish cash, automobile, housing and corporate loan rates. Focusing on the possibility of nonlinearity in the adjustment of lending rates due to financial market conditions and monetary policies, we adopt the...

Persistent link: https://www.econbiz.de/10010592796

Job Creation and the Self-employed Firm Size: evidence from Spain

Congregado, Emilio; Esteve, Vicente; Golpe, Antonio A. - Departament d'Estructura Econòmica, Facultad de Economía - 2012

a two-regime threshold cointegration model, that is, in favor of a time-sensitive relationship with two opposite regimes …

Persistent link: https://www.econbiz.de/10010616552

Vertical Price Transmission in Local Rice Markets in Cote d\\\'Ivoire: Are Consumers Really Right?

KEHO, Yaya; CAMARA, Aissata SOBIA - In: Asian Journal of Agriculture and rural Development 2 (2012) 4, pp. 552-564

holds true. Our empirical analysis makes use of threshold cointegration and error correction models and monthly data for the …

Persistent link: https://www.econbiz.de/10010617693

Oil and S&P 500 Markets: Evidence from the Nonlinear Model

Lee, Yen-Hsien; Hao, Fang - In: International Journal of Economics and Financial Issues 2 (2012) 3, pp. 272-280

This study begins by using a MTAR model to explore the asymmetric effects of error corrections between oil prices in the U.S.A and S&P 500 prices under different regimes. After confirming the lead/lag relationship between the S&P 500 and oil prices, we employ a STECM to analyze the short-run...

Persistent link: https://www.econbiz.de/10010556618

Cointegration between carbon spot and futures prices: from linear to nonlinear modeling

Chevallier, Julien - In: Economics Bulletin 32 (2012) 1, pp. 160-181

Persistent link: https://www.econbiz.de/10009397028

An Empirical Analysis of Nonlinear Dynamics Relationship between the United States and Taiwan Stock Markets

Lee, Yen-Hsien - In: Zagreb International Review of Economics and Business 15 (2012) 1, pp. 89-101

threshold co-integration relationship between the U.S. and Taiwan stock markets. Moreover, this paper further fi nds that this …

Persistent link: https://www.econbiz.de/10010676174

Cointegration between carbon spot and futures prices : from linear to nonlinear modeling

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2012

Persistent link: https://www.econbiz.de/10010706371